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Arbitrage Opportunity Analysis of Stock Index Futures and Sse 50 Constituent Stocks

Author: YaoLei
Tutor: LiuHaiLong
School: Shanghai Jiaotong University
Course: Business Administration
Keywords: Stock index futures SSE 50 Arbitrage β value Impact costs
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 44
Quote: 0
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Abstract


CSI 300 Index Futures , focuses on the trading of stock index futures arbitrage . The study aims to discuss the use of a single species in the premise of considering the impact of the cost of the feasibility of arbitrage transactions . The key stock index futures arbitrage building spot position , the core is determined arbitrage space . In this paper, based on the 50 constituent stocks of the SSE and 50ETF, in-depth analysis to calculate the value of β value method used in the sample , and then come to the static β value of each single species , and draw a dynamic β value of historical time sequence diagram , an effective solution Jiancang spot position and in positions in the process , based on a reasonable dynamic beta value forecast , timely adjustment of positions , so as to obtain a low risk , maximize income . Estimates found after this article , the 50 constituent stocks of the SSE and 50ETF a total of 51 varieties , static β value range 0.49595-1.35407 , the correlation coefficient interval 0.46194-0.94973 , where β values ??greater than 0.9 to 37 , a correlation coefficient greater than 0.7 30 , while the two conditions are satisfied for 23 . Meanwhile, stock index futures the conservative total impact cost of 0.75 ‰ 50ETF total impact cost of 1.07 per thousand , higher cost impact of individual stocks , the SSE 50 constituent stocks of the vast majority of the total impact cost in between 1.5-3.5 ‰ . In addition , the study found that , without considering the impact cost , deadline 11.12.15 , stock index futures market has a total of 102 days of positive arbitrage opportunity to consider the impact of the cost , and 3 ‰ credited , just 48 days chance , obviously , because of the impact costs exist , arbitrage space is significantly reduced .

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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